Inference for systems of stochastic differential equations from discretely sampled data: a numerical maximum likelihood approach
DOI10.1007/S10436-012-0219-9zbMATH Open1298.91189OpenAlexW2051774156MaRDI QIDQ470658FDOQ470658
Authors: Thomas C. H. Lux 
Publication date: 12 November 2014
Published in: Annals of Finance (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10419/60335
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Fokker-Planck equationstochastic differential equationsfinite difference schemesasset pricingnumerical maximum likelihood
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Cites Work
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- Estimation of an agent-based model of investor sentiment formation in financial markets
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- FINITE DIFFERENCE SCHEMES WITH CROSS DERIVATIVES CORRECTORS FOR MULTIDIMENSIONAL PARABOLIC SYSTEMS
- Alternating direction methods for parabolic equations in two space dimensions with a mixed derivative
Cited In (5)
- Maximum likelihood estimation of the parameters of a system of stochastic differential equations that models the returns of the index of some classes of hedge funds
- Parametric Inference for Discretely Sampled Stochastic Differential Equations
- Maximum likelihood estimates of a class of one-dimensional stochastic differential equation models from discrete data
- Sentiment contagion analysis of interacting investors: evidence from China's stock forum
- Estimating parameters in diffusion processes using an approximate maximum likelihood approach
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